Transparency can be turned on using the Opacity and Opacify settings in the Advanced Settings control panel. A bit of googling will give you some nice ways to make transparent menus etc as well.

Transparent Window borders are available in two ways. Either by adjusting the metacity settings with gconf-editor (alt-f2 gconf-editor, apps-->gwd) or by replacing metacity with the Emerald window manager (better effects) which is available in the repos.